Autore
Mizon, Grayham E.

Titolo
Empirical analysis of time series: illustrations with simulated data
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 5 - Pagina iniziale: 1 - Pagina finale: 19

Simulated data are used to illustrate the properties of the major types of time series process. This knowledge helps in the choice of data—admissible model classes when modelling time series variables. Knowledge of the DGP for simulated data enables the calculation of the properties of estimators and other statistics of interest such as indicators of misspecification in particular models of the data. The analogous role of the congruent general model in a modelling strategy which seeks to develop simple, economically interpretable models, which parsimoniously encompass the general model (and hence are congruent and encompass all rival models nested within the general model), is also illustrated.



Testo completo: http://hdl.handle.net/1814/446

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